Simple Tests of VXX as Diversifier
May 23, 2013 - Strategic Allocation, Volatility Effects
Market volatility tends to rise as returns fall. Does adding a proxy for short-term U.S. equity market volatility to a diversified portfolio improve its performance? To check, we add iPath S&P 500 VIX Short Term Futures (VXX) to the following mix of asset class proxies (the same used in “Simple Asset Class ETF Momentum Strategy”): PowerShares DB… Keep Reading